Uncertainty Quantification and Experimental Design for Large-Scale Linear Inverse Problems under Gaussian Process Priors

We consider the use of Gaussian process (GP) priors for solving inverse problems in a Bayesian framework. As is well known, the computational complexity of GPs scales cubically in the number of datapoints. Here we show that in the context of inverse problems involving integral operators, one faces additional difficulties that hinder inversion on large grids. Furthermore, in that context, covariance matrices can become too large to be stored. By leveraging recent results about sequential disintegrations of Gaussian measures, we are able to introduce an implicit representation of posterior covariance matrices that reduces the memory footprint by only storing low rank intermediate matrices, while allowing individual elements to be accessed on-the-fly without needing to build full posterior covariance matrices. Moreover, it allows for fast sequential inclusion of new observations. These features are crucial when considering sequential experimental design tasks. We demonstrate our approach by computing sequential data collection plans for excursion set recovery for a gravimetric inverse problem, where the goal is to provide fine resolution estimates of high density regions inside the Stromboli volcano, Italy. Sequential data collection plans are computed by extending the weighted integrated variance reduction (wIVR) criterion to inverse problems. Our results show that this criterion is able to significantly reduce the uncertainty on the excursion volume, reaching close to minimal levels of residual uncertainty. Overall, our techniques allow the advantages of probabilistic models to be brought to bear on large-scale inverse problems arising in the natural sciences. Particularly, applying the latest developments in Bayesian sequential experimental design on realistic large-scale problems opens new venues of research at a crossroads between mathematical modelling of natural phenomena, statistical data science, and active learning